Narayan, Paresh Kumar; Sharma, Susan Sunila - Deakin University, Faculty of Business and Law, School … - 2011
In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.